Limit Monitoring

Ensure that limits are not breached. Fully configurable limit rules as well as management of FCM credit and trading limits.

Novation/Porting

Our service will run algorithmic models to identify candidate trades that could be ported between FCMs in order to balance directionality in portfolios and reduce Initial Margin requirements. The powerful engine will also highlight opportunities for novating trades from bilateral to cleared in order to provide risk offsets and reduce margin exposure.

Portfolio Compression

Eliminate line items and related costs while maintaining a risk profile. This service offers a solution for compressing open trades into replacement trades that match the forward risk profile. Our compression engine uses algorithms to create a projected risk profile and then compares to a universe of reference contracts (Swaps or Futures) to find the set of trades that can replicate this risk for the lowest holding cost.

Margin Analysis and Attribution

Cassini has a comprehensive set of tools for calculating margin at any time in the trading day, and analyzing its impact, composition, and movement.

ANALYTICS DASHBOARD

These are also available via a unified dashboard which presents a way to see all margin exposures across all asset and agreements in a single place, and to kick off other analytics such as compression or what if tests.

This is a great Front Office tool to see key exposures, limits and margin headroom at Start of Day and as trading activity happens intra day.

Margin Movement Analysis

Another key tool is to be able to understand how margin is moving on a day to day, or intra day basis, and how it is made up by asset class, currency etc.

Cassini give you the ability to slice and dice margin by any attribute and to see breakdowns and explains for day to day movement such as change in risk values, or trade activity.

Margin Exposure And Limits

In the Dashboard you can see all your margin agreements in one place with current margin level, movements, headroom, and limits.

Cassini limits can be used for any broker, ccp, or internal monitoring, including trade and portfolio level. As well as the dashboard and limit monitor screens, you can also configure limits to alert via email, SMS, etc.

Margin Attribution

Cassini’s models offer the ability to attribute margin usage from an agreement level down to any level of the portfolio trading hierarchy, e.g. Strategy, Sub Strategy, asset class, currency.

See the top 5 consumers of margin on the dashboard and drilldown to see whole portfolio hierarchy down to trade level.

Services in Action

Novation

If you have a large open book of bilateral trades then over time the risk profile will change and there may be benefits to you or the dealer to novate the trade and replace with cleared trades.

Unilateral Compression

The model is flexible so can be configured to your own trading preferences and risk. For example, you could replace USD IRS exposure with IRS futures, or collapse a rates book into MAC Swaps.

Porting

If you use multiple clearing brokers then over time you may end up with unbalanced risk profiles which can be reduced by porting trades between clearers. Our algorithms will identify these opportunities and the scale of achievable cost reduction.